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math.PR2022
Solving high-dimensional optimal stopping problems using optimization based model order reduction
Martin Redmann
Solving optimal stopping problems by backward induction in high dimensions is often very complex since the computation of conditional expectations is required. Typically, such comp…
math.PR2020
Low-dimensional approximations of high-dimensional asset price models
Martin Redmann, Christian Bayer, Pawan Goyal
We consider high-dimensional asset price models that are reduced in their dimension in order to reduce the complexity of the problem or the effect of the curse of dimensionality in…
math.PR2018
Solving linear parabolic rough partial differential equations
Christian Bayer, Denis Belomestny, Martin Redmann +2
We study linear rough partial differential equations in the setting of [Friz and Hairer, Springer, 2014, Chapter 12]. More precisely, we consider a linear parabolic partial differe…